Davenport had not planned to become an actor; however, his career began when he took a gap year after attending Cheltenham College. A director from Clwyd Theatr Cymru (Welsh National Theatre) was impressed by his performance in a summer drama course and asked Davenport to work for him. At 18 years of age he ended up in Wales, performing bit parts in Hamlet, where he became friends with Rhys Ifans (Notting Hill).

The following year, he attended the University of East Anglia (UEA), concentrating in Film Studies and English Literature. He tried out acting once more at the UEA but was not, at this point, seriously interested in it. In fact, Davenport had considered becoming a member of a film crew, as opposed to acting in front of the camera. His mother advised him, after his graduation from UEA, to write to John Cleese requesting work on the set of his upcoming film, Fierce Creatures, so that Davenport could gain some real experience behind the camera. Cleese instead sent Davenport's letter to the casting department, and he was cast as a student zookeeper. Whilst a small part with very few lines it provided his first opportunity to work in front of the camera. After the production of Fierce Creatures was completed, Davenport found an agent who secured him an audition for the role of Miles Stewart in the BBC television drama series This Life.

In 2007 Davenport was cast in Swingtown (2008), a period and relationship drama for CBS about the impact of sexual and social liberation in 1970s American suburban households, with story arcs involving open marriages and key parties. This was canceled after its only season.

In 2008, Davenport was cast in the new ABC pilot FlashForward (2009–10), which was based on a Robert J. Sawyernovel. In the series, Davenport played the character of Lloyd Simcoe, a physicist allegedly responsible for a worldwide blackout, which causes the whole world to see the future. That series was also canceled after a single season.

In February 2011, Davenport was cast in the NBC musical drama pilot Smash.[4] In May 2011, it was reported that NBC has picked up the show as a series for the autumn 2011 TV season.[5] The series follows a group of people coming together to put on a Marilyn Monroe musical on Broadway. Davenport plays the musical's director.